Difference between compiled version and downloaded?
The main reasons to build blender yourself are:


If you build from the latest sources, you get the very newest features. You'll also get the latest bugs, so save early and often, and keep the bug tracker open ;)
You can apply patches such as this one, and get features which aren't even in the official sources yet.


There are also some hardware-specific optimization tricks you can do depending on your compiler, but these can potentially make blender unstable. Also see the wiki.